private void HandleOrderEvent(OrderEvent fill)
{
// update the order status
var order = GetOrderByIdInternal(fill.OrderId);
if (order == null)
{
Log.Error("BrokerageTransactionHandler.HandleOrderEvent(): Unable to locate Order with id " + fill.OrderId);
return;
}
// set the status of our order object based on the fill event
order.Status = fill.Status;
// save that the order event took place, we're initializing the list with a capacity of 2 to reduce number of mallocs
//these hog memory
//List<OrderEvent> orderEvents = _orderEvents.GetOrAdd(orderEvent.OrderId, i => new List<OrderEvent>(2));
//orderEvents.Add(orderEvent);
//Apply the filled order to our portfolio:
if (fill.Status == OrderStatus.Filled || fill.Status == OrderStatus.PartiallyFilled)
{
Log.Debug("BrokerageTransactionHandler.HandleOrderEvent(): " + fill);
Interlocked.Exchange(ref _lastFillTimeTicks, DateTime.Now.Ticks);
_algorithm.Portfolio.ProcessFill(fill);
}
// update the ticket after we've processed the fill, but before the event, this way everything is ready for user code
OrderTicket ticket;
if (_orderTickets.TryGetValue(fill.OrderId, out ticket))
{
ticket.AddOrderEvent(fill);
}
else
{
Log.Error("BrokerageTransactionHandler.HandleOrderEvent(): Unable to resolve ticket: " + fill.OrderId);
}
//We have an event! :) Order filled, send it in to be handled by algorithm portfolio.
if (fill.Status != OrderStatus.None) //order.Status != OrderStatus.Submitted
{
//Create new order event:
_resultHandler.OrderEvent(fill);
try
{
//Trigger our order event handler
_algorithm.OnOrderEvent(fill);
}
catch (Exception err)
{
_algorithm.Error("Order Event Handler Error: " + err.Message);
}
}
}
public void OrderEvent(OrderEvent newEvent)
{
_shadow.OrderEvent(newEvent);
}
private void HandleOrderEvent(OrderEvent fill)
{
// update the order status
var order = GetOrderByIdInternal(fill.OrderId);
if (order == null)
{
Log.Error("BrokerageTransactionHandler.HandleOrderEvent(): Unable to locate Order with id " + fill.OrderId);
return;
}
// set the status of our order object based on the fill event
order.Status = fill.Status;
// save that the order event took place, we're initializing the list with a capacity of 2 to reduce number of mallocs
//these hog memory
//List<OrderEvent> orderEvents = _orderEvents.GetOrAdd(orderEvent.OrderId, i => new List<OrderEvent>(2));
//orderEvents.Add(orderEvent);
//Apply the filled order to our portfolio:
if (fill.Status == OrderStatus.Filled || fill.Status == OrderStatus.PartiallyFilled)
{
Interlocked.Exchange(ref _lastFillTimeTicks, DateTime.Now.Ticks);
// check if the fill currency and the order currency match the symbol currency
var security = _algorithm.Securities[fill.Symbol];
// Bug in FXCM API flipping the currencies -- disabling for now. 5/17/16 RFB
//if (fill.FillPriceCurrency != security.SymbolProperties.QuoteCurrency)
//{
// Log.Error(string.Format("Currency mismatch: Fill currency: {0}, Symbol currency: {1}", fill.FillPriceCurrency, security.SymbolProperties.QuoteCurrency));
//}
//if (order.PriceCurrency != security.SymbolProperties.QuoteCurrency)
//{
// Log.Error(string.Format("Currency mismatch: Order currency: {0}, Symbol currency: {1}", order.PriceCurrency, security.SymbolProperties.QuoteCurrency));
//}
try
{
_algorithm.Portfolio.ProcessFill(fill);
var conversionRate = security.QuoteCurrency.ConversionRate;
_algorithm.TradeBuilder.ProcessFill(fill, conversionRate);
}
catch (Exception err)
{
Log.Error(err);
_algorithm.Error(string.Format("Order Error: id: {0}, Error in Portfolio.ProcessFill: {1}", order.Id, err.Message));
}
}
// update the ticket and order after we've processed the fill, but before the event, this way everything is ready for user code
OrderTicket ticket;
if (_orderTickets.TryGetValue(fill.OrderId, out ticket))
{
ticket.AddOrderEvent(fill);
order.Price = ticket.AverageFillPrice;
}
else
{
Log.Error("BrokerageTransactionHandler.HandleOrderEvent(): Unable to resolve ticket: " + fill.OrderId);
}
//We have an event! :) Order filled, send it in to be handled by algorithm portfolio.
if (fill.Status != OrderStatus.None) //order.Status != OrderStatus.Submitted
{
//Create new order event:
_resultHandler.OrderEvent(fill);
try
{
//Trigger our order event handler
_algorithm.OnOrderEvent(fill);
}
catch (Exception err)
{
_algorithm.Error("Order Event Handler Error: " + err.Message);
// kill the algorithm
_algorithm.RunTimeError = err;
}
}
}
private void HandleOrderEvent(OrderEvent fill)
{
// update the order status
var order = GetOrderByIdInternal(fill.OrderId);
if (order == null)
{
Log.Error("BrokerageTransactionHandler.HandleOrderEvent(): Unable to locate Order with id " + fill.OrderId);
return;
}
// set the status of our order object based on the fill event
order.Status = fill.Status;
// save that the order event took place, we're initializing the list with a capacity of 2 to reduce number of mallocs
//these hog memory
//List<OrderEvent> orderEvents = _orderEvents.GetOrAdd(orderEvent.OrderId, i => new List<OrderEvent>(2));
//orderEvents.Add(orderEvent);
//Apply the filled order to our portfolio:
if (fill.Status == OrderStatus.Filled || fill.Status == OrderStatus.PartiallyFilled)
{
Log.Debug("BrokerageTransactionHandler.HandleOrderEvent(): " + fill);
Interlocked.Exchange(ref _lastFillTimeTicks, DateTime.Now.Ticks);
try
{
_algorithm.Portfolio.ProcessFill(fill);
var conversionRate = 1m;
if (order.SecurityType == SecurityType.Forex)
{
string baseCurrency, quoteCurrency;
Forex.DecomposeCurrencyPair(fill.Symbol, out baseCurrency, out quoteCurrency);
conversionRate = _algorithm.Portfolio.CashBook[quoteCurrency].ConversionRate;
}
_algorithm.TradeBuilder.ProcessFill(fill, conversionRate);
}
catch (Exception err)
{
Log.Error(err);
_algorithm.Error(string.Format("Order Error: id: {0}, Error in Portfolio.ProcessFill: {1}", order.Id, err.Message));
}
}
// update the ticket and order after we've processed the fill, but before the event, this way everything is ready for user code
OrderTicket ticket;
if (_orderTickets.TryGetValue(fill.OrderId, out ticket))
{
ticket.AddOrderEvent(fill);
order.Price = ticket.AverageFillPrice;
}
else
{
Log.Error("BrokerageTransactionHandler.HandleOrderEvent(): Unable to resolve ticket: " + fill.OrderId);
}
//We have an event! :) Order filled, send it in to be handled by algorithm portfolio.
if (fill.Status != OrderStatus.None) //order.Status != OrderStatus.Submitted
{
//Create new order event:
_resultHandler.OrderEvent(fill);
try
{
//Trigger our order event handler
_algorithm.OnOrderEvent(fill);
}
catch (Exception err)
{
_algorithm.Error("Order Event Handler Error: " + err.Message);
// kill the algorithm
_algorithm.RunTimeError = err;
}
}
}
